This paper empirically tests the data of the Qinhuangdao Port Datong HUNYOU (Q5800K) and the Australia BJ thermal coal spot price by using GARCH Models .The results show that above prices face obvious agglomeration effect ,leverage effect and spillover effect .At the same time ,this paper finds that there is strong evidence of long memory of the domestic and international coal markets and the domestic coal price decays faster than the international coal price .The impact effect of the international coal market on the market information is significantly less than that of the domestic coal market and there is the dual conduction of the mutual influence of both domestic and international coal markets .%本文利用GARCH族模型对秦皇岛港大同优混（Q5800K）和澳大利亚BJ动力煤现货价收益率波动特征进行实证研究。研究结果表明：上述两种国内外煤炭价格都存在集聚效应、杠杆效应和溢出效应。同时表明，国内外煤炭价格收益率均具有长期记忆性并且国内煤炭价格衰减趋势比国外煤炭价格快，国外煤炭价格对市场信息冲击的效果明显小于国内煤炭市场以及国内外两种煤炭市场具有相互影响的双向传导功能。
展开▼
